I don't have any experience with SPD pedals, but I will give it a shot.
1. I believe that the plates are for use with shoes that have a curved cleat mounting surface. If you mount the cleats (which need to be perfectly flat to work) on a curved surface, and then tighten down the mounting bolts, you will effectively change the shape of the cleat. Check out the soles of your shoes and see if the cleat mounting area is perfectly flat. If not, add the plates under either side (I think) of the cleat, and then bolt them onto your shoes.
2. Your shoes should fit good, but not tight. Try using an insole in them--either pull the current insole out and adding one you would buy and see how they fit. If they are still too loose, you can use both insoles and see how that works. If the size difference is really noticeable, and you know that the next size down would fit better, that would be the way to go (keep in mind though that many place won't exchange shoes if they can tell cleats have been mounted on them).
3. This could be because the are curved instead of staying flat. You may also have pedals with adjustable release tension, so you can look at the paperwork that came with the pedals and see how to do that. Even at the lightest tension, you should have no problems with "accidental releases".
4. Clipping in is usually accomplised by putting the toe of the cleat in first. If you notice, on the pedals, the retention device is usually located at the back of the pedal, and this is the part that moves to allow release and clip-in. If you clip in with the back of the cleat first, you will never be in securely. Point your toe down, "hooking" the front edge of the pedal (where the cleat inserts into the pedal), and then put pressure on the back of the pedal to fully clip in.
Hope this all helps. Good luck!!
Jeff
